XLE
The Energy Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for XLE (The Energy Select Sector SPDR Fund) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -37.1% (compared to the benchmark's drawdown of -71.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.3%, compared to a Buy-and-Hold benchmark return of 8.1%. The strategy executed 33 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
Switch to MMA to enable
XLE Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 32.23% | 37.22% | 8.23% | 20.25% | 7.05% | 9.91% | 6.34% | 8.05% |
| Sharpe Ratio | 1.46 | 1.54 | 0.35 | 0.71 | 0.35 | 0.32 | 0.34 | 0.27 |
| Max Drawdown | -12.05% | -12.05% | -37.09% | -26.04% | -37.09% | -66.81% | -37.09% | -71.26% |
| % Time Invested | 78.6% | 100.0% | 78.0% | 100.0% | 66.2% | 100.0% | 65.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.6 | 0.0 | 1.4 | 0.0 | 1.3 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2025-08-29 | Open | Open | 100% | $43.93 | $57.55 | 31.02% | Mark-to-Market |
| 2025-04-07 | 2025-08-29 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.71% | Interest Income |
| 2025-03-11 | 2025-04-07 | Completed | 100% | $42.51 | $36.92 | -13.16% | Stop |
| 2025-02-10 | 2025-03-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2024-11-26 | 2025-02-10 | Completed | 100% | $45.52 | $42.95 | -5.64% | Signal |
| 2024-11-04 | 2024-11-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2024-02-27 | 2024-11-04 | Completed | 100% | $40.17 | $42.25 | 5.17% | Signal |
| 2024-01-18 | 2024-02-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.57% | Interest Income |
| 2023-07-27 | 2024-01-18 | Completed | 100% | $39.62 | $37.25 | -5.99% | Signal |
| 2023-05-15 | 2023-07-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.05% | Interest Income |
| 2023-04-05 | 2023-05-15 | Completed | 100% | $38.64 | $35.74 | -7.52% | Signal |
| 2023-03-14 | 2023-04-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2022-10-18 | 2023-03-14 | Completed | 100% | $36.40 | $36.32 | -0.22% | Stop |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-07-13 | 2022-09-26 | Completed | 100% | $29.84 | $31.11 | 4.28% | Stop |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2021-08-11 | 2022-06-17 | Completed | 100% | $20.80 | $33.55 | 61.30% | Stop |
| 2021-07-20 | 2021-08-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-12-22 | 2021-07-20 | Completed | 100% | $15.65 | $19.72 | 26.05% | Stop |
| 2020-02-04 | 2020-12-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2020-01-21 | 2020-02-04 | Completed | 100% | $22.67 | $20.63 | -9.00% | Signal |
| 2019-08-02 | 2020-01-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.80% | Interest Income |
| 2019-07-15 | 2019-08-02 | Completed | 100% | $23.71 | $22.60 | -4.68% | Stop |
| 2019-05-24 | 2019-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2019-02-21 | 2019-05-24 | Completed | 100% | $23.98 | $22.53 | -6.06% | Stop |
| 2018-10-25 | 2019-02-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.75% | Interest Income |
| 2018-03-07 | 2018-10-25 | Completed | 100% | $23.48 | $23.97 | 2.10% | Stop |
| 2018-02-12 | 2018-03-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2017-09-20 | 2018-02-12 | Completed | 100% | $23.18 | $23.67 | 2.10% | Stop |
| 2017-04-25 | 2017-09-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2016-05-05 | 2017-04-25 | Completed | 100% | $21.99 | $23.33 | 6.09% | Signal |
| 2015-10-28 | 2016-05-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2015-10-09 | 2015-10-28 | Completed | 100% | $22.81 | $21.73 | -4.73% | Stop |
| 2014-10-09 | 2015-10-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2012-09-06 | 2014-10-09 | Completed | 100% | $21.80 | $27.87 | 27.84% | Stop |
| 2012-05-18 | 2012-09-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2012-02-09 | 2012-05-18 | Completed | 100% | $22.40 | $19.73 | -11.95% | Stop |
| 2011-08-08 | 2012-02-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-10-28 | 2011-08-08 | Completed | 100% | $17.76 | $19.64 | 10.62% | Stop |
| 2010-06-22 | 2010-10-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2010-06-01 | 2010-06-22 | Completed | 100% | $15.37 | $16.41 | 6.77% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-06-19 | 2010-05-07 | Completed | 100% | $14.61 | $16.47 | 12.76% | Stop |
| 2009-01-13 | 2009-06-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2009-01-07 | 2009-01-13 | Completed | 100% | $14.71 | $13.47 | -8.41% | Stop |
| 2008-09-03 | 2009-01-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2008-08-08 | 2008-09-03 | Completed | 100% | $20.35 | $20.04 | -1.50% | Signal |
| 2008-07-17 | 2008-08-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-02-13 | 2008-07-17 | Completed | 100% | $20.45 | $22.14 | 8.30% | Stop |
| 2008-01-22 | 2008-02-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2007-09-11 | 2008-01-22 | Completed | 100% | $19.82 | $18.11 | -8.64% | Stop |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2006-11-30 | 2007-08-17 | Completed | 100% | $16.80 | $18.96 | 12.85% | Stop |
| 2006-10-16 | 2006-11-30 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.63% | Interest Income |
| 2006-07-07 | 2006-10-16 | Completed | 100% | $16.09 | $15.08 | -6.27% | Signal |
| 2006-06-14 | 2006-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2005-11-11 | 2006-06-14 | Completed | 100% | $12.91 | $13.99 | 8.37% | Stop |
| 2005-10-20 | 2005-11-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2005-06-09 | 2005-10-20 | Completed | 100% | $11.70 | $13.09 | 11.93% | Stop |
| 2005-05-17 | 2005-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2003-04-14 | 2005-05-17 | Completed | 100% | $5.88 | $10.62 | 80.44% | Stop |
| 2002-07-12 | 2003-04-14 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.04% | Interest Income |
| 2002-04-12 | 2002-07-12 | Completed | 100% | $7.17 | $6.28 | -12.41% | Stop |
| 2001-10-19 | 2002-04-12 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.85% | Interest Income |
| 2001-10-11 | 2001-10-19 | Completed | 100% | $7.40 | $6.87 | -7.14% | Stop |
| 2001-07-12 | 2001-10-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.73% | Interest Income |
| 2000-12-14 | 2001-07-12 | Completed | 100% | $7.98 | $7.54 | -5.48% | Stop |
| 2000-12-12 | 2000-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |